A modification, often abbreviated to mod, is a third party add-on for a game. Mods can be made to add new features to a game, change existing content, fix bugs, etc. Most mods are made by fans, and can be downloaded for free on websites.
There is a huge amount of mods for GTA available on the internet, ranging from new playerskins to so-called 'total conversions', mods that completely change the map. A lot of GTA sites offer a large quantity of mods and tools for one or more GTA's.
Making a mod is not always simple, but it can be learned. Modders (people who make mods) often gather on forums in modding communities to show their work, exchange ideas and answers to problems and work together on large modifications.